well... let me correct myself on this...
if you are looking for the global maximum order (regardless of hotels) read what I wrote above
but, to see the maximum order for each individual hotel_id you do need to use GROUP BY, but with one addition on this.. you have to add the "group by" field to the select list. meaning the code changes to this:
$result = mysql_query("SELECT hotel_id, MAX(order) FROM conf_rooms WHERE hotel_id=$hotel GROUP BY hotel_id") or die(mysql_error());
while (list($hotelID, $maxvalue)=mysql_fetch_array($result)) {
echo "<p>there are $maxvalue orders for hotel ID $hotelID</p>\n";
}